Distributionally robust inference for extreme value-at-risk
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Publication:784395
DOI10.1016/j.insmatheco.2020.03.003zbMath1445.91070arXiv1902.05853OpenAlexW3011651404MaRDI QIDQ784395
Stilian A. Stoev, Robert Yuen, Daniel Cooley
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.05853
regular variationlinear semi-infinite programmingvalue-at-riskextremal coefficientsdistributionally robustextreme value-at-riskTawn-Molchanov
Statistical methods; risk measures (91G70) Linear programming (90C05) Semi-infinite programming (90C34)
Related Items (3)
Estimating and backtesting risk under heavy tails ⋮ Tail-dependence, exceedance sets, and metric embeddings ⋮ Statistical inference on a changing extreme value dependence structure
Uses Software
Cites Work
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